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fix(market): add 3m volume and ATR14 indicators to AI data (#830)
* Support 3m volume and ATR4 * test(market): add unit tests for Volume and ATR14 indicators - Add comprehensive tests for calculateIntradaySeries Volume collection - Add tests for ATR14 calculation with various data scenarios - Add edge case tests for insufficient data - Test Volume value precision and consistency with other indicators - All 8 test cases pass successfully Resolves code review blocking issue from PR #830
This commit is contained in:
Lawrence Liu
@@ -227,6 +227,7 @@ func calculateIntradaySeries(klines []Kline) *IntradayData {
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MACDValues: make([]float64, 0, 10),
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RSI7Values: make([]float64, 0, 10),
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RSI14Values: make([]float64, 0, 10),
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Volume: make([]float64, 0, 10),
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}
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// 获取最近10个数据点
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@@ -237,6 +238,7 @@ func calculateIntradaySeries(klines []Kline) *IntradayData {
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for i := start; i < len(klines); i++ {
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data.MidPrices = append(data.MidPrices, klines[i].Close)
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data.Volume = append(data.Volume, klines[i].Volume)
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// 计算每个点的EMA20
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if i >= 19 {
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@@ -261,6 +263,9 @@ func calculateIntradaySeries(klines []Kline) *IntradayData {
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}
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}
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// 计算3m ATR14
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data.ATR14 = calculateATR(klines, 14)
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return data
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}
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@@ -440,6 +445,12 @@ func Format(data *Data) string {
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if len(data.IntradaySeries.RSI14Values) > 0 {
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sb.WriteString(fmt.Sprintf("RSI indicators (14‑Period): %s\n\n", formatFloatSlice(data.IntradaySeries.RSI14Values)))
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}
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if len(data.IntradaySeries.Volume) > 0 {
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sb.WriteString(fmt.Sprintf("Volume: %s\n\n", formatFloatSlice(data.IntradaySeries.Volume)))
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}
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sb.WriteString(fmt.Sprintf("3m ATR (14‑period): %.3f\n\n", data.IntradaySeries.ATR14))
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}
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if data.LongerTermContext != nil {
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349
market/data_test.go
Normal file
349
market/data_test.go
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@@ -0,0 +1,349 @@
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package market
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import (
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"math"
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"testing"
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)
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// generateTestKlines 生成测试用的 K线数据
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func generateTestKlines(count int) []Kline {
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klines := make([]Kline, count)
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for i := 0; i < count; i++ {
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// 生成模拟的价格数据，有一定的波动
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basePrice := 100.0
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variance := float64(i%10) * 0.5
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open := basePrice + variance
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high := open + 1.0
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low := open - 0.5
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close := open + 0.3
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volume := 1000.0 + float64(i*100)
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klines[i] = Kline{
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OpenTime: int64(i * 180000), // 3分钟间隔
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Open: open,
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High: high,
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Low: low,
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Close: close,
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Volume: volume,
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CloseTime: int64((i+1)*180000 - 1),
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}
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}
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return klines
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}
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// TestCalculateIntradaySeries_VolumeCollection 测试 Volume 数据收集
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func TestCalculateIntradaySeries_VolumeCollection(t *testing.T) {
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tests := []struct {
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name string
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klineCount int
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expectedVolLen int
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}{
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{
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name: "正常情况 - 20个K线",
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klineCount: 20,
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expectedVolLen: 10, // 应该收集最近10个
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},
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{
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name: "刚好10个K线",
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klineCount: 10,
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expectedVolLen: 10,
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},
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{
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name: "少于10个K线",
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klineCount: 5,
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expectedVolLen: 5, // 应该返回所有5个
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},
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{
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name: "超过10个K线",
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klineCount: 30,
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expectedVolLen: 10, // 应该只返回最近10个
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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klines := generateTestKlines(tt.klineCount)
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data := calculateIntradaySeries(klines)
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if data == nil {
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t.Fatal("calculateIntradaySeries returned nil")
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}
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if len(data.Volume) != tt.expectedVolLen {
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t.Errorf("Volume length = %d, want %d", len(data.Volume), tt.expectedVolLen)
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}
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// 验证 Volume 数据正确性
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if len(data.Volume) > 0 {
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// 计算期望的起始索引
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start := tt.klineCount - 10
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if start < 0 {
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start = 0
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}
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// 验证第一个 Volume 值
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expectedFirstVolume := klines[start].Volume
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if data.Volume[0] != expectedFirstVolume {
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t.Errorf("First volume = %.2f, want %.2f", data.Volume[0], expectedFirstVolume)
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}
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// 验证最后一个 Volume 值
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expectedLastVolume := klines[tt.klineCount-1].Volume
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lastVolume := data.Volume[len(data.Volume)-1]
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if lastVolume != expectedLastVolume {
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t.Errorf("Last volume = %.2f, want %.2f", lastVolume, expectedLastVolume)
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}
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}
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})
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}
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}
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// TestCalculateIntradaySeries_VolumeValues 测试 Volume 值的正确性
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func TestCalculateIntradaySeries_VolumeValues(t *testing.T) {
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klines := []Kline{
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{Close: 100.0, Volume: 1000.0, High: 101.0, Low: 99.0, Open: 100.0},
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{Close: 101.0, Volume: 1100.0, High: 102.0, Low: 100.0, Open: 101.0},
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{Close: 102.0, Volume: 1200.0, High: 103.0, Low: 101.0, Open: 102.0},
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{Close: 103.0, Volume: 1300.0, High: 104.0, Low: 102.0, Open: 103.0},
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{Close: 104.0, Volume: 1400.0, High: 105.0, Low: 103.0, Open: 104.0},
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{Close: 105.0, Volume: 1500.0, High: 106.0, Low: 104.0, Open: 105.0},
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{Close: 106.0, Volume: 1600.0, High: 107.0, Low: 105.0, Open: 106.0},
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{Close: 107.0, Volume: 1700.0, High: 108.0, Low: 106.0, Open: 107.0},
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{Close: 108.0, Volume: 1800.0, High: 109.0, Low: 107.0, Open: 108.0},
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{Close: 109.0, Volume: 1900.0, High: 110.0, Low: 108.0, Open: 109.0},
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}
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data := calculateIntradaySeries(klines)
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expectedVolumes := []float64{1000.0, 1100.0, 1200.0, 1300.0, 1400.0, 1500.0, 1600.0, 1700.0, 1800.0, 1900.0}
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if len(data.Volume) != len(expectedVolumes) {
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t.Fatalf("Volume length = %d, want %d", len(data.Volume), len(expectedVolumes))
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}
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for i, expected := range expectedVolumes {
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if data.Volume[i] != expected {
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t.Errorf("Volume[%d] = %.2f, want %.2f", i, data.Volume[i], expected)
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}
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}
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}
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// TestCalculateIntradaySeries_ATR14 测试 ATR14 计算
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func TestCalculateIntradaySeries_ATR14(t *testing.T) {
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tests := []struct {
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name string
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klineCount int
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expectZero bool
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expectNonZero bool
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}{
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{
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name: "足够数据 - 20个K线",
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klineCount: 20,
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expectNonZero: true,
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},
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{
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name: "刚好15个K线（ATR14需要至少15个）",
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klineCount: 15,
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expectNonZero: true,
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},
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{
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name: "数据不足 - 14个K线",
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klineCount: 14,
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expectZero: true,
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},
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{
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name: "数据不足 - 10个K线",
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klineCount: 10,
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expectZero: true,
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},
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{
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name: "数据不足 - 5个K线",
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klineCount: 5,
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expectZero: true,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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klines := generateTestKlines(tt.klineCount)
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data := calculateIntradaySeries(klines)
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if data == nil {
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t.Fatal("calculateIntradaySeries returned nil")
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}
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if tt.expectZero && data.ATR14 != 0 {
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t.Errorf("ATR14 = %.3f, expected 0 (insufficient data)", data.ATR14)
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}
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if tt.expectNonZero && data.ATR14 <= 0 {
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t.Errorf("ATR14 = %.3f, expected > 0", data.ATR14)
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}
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})
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}
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}
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// TestCalculateATR 测试 ATR 计算函数
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func TestCalculateATR(t *testing.T) {
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tests := []struct {
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name string
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klines []Kline
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period int
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expectZero bool
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}{
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{
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name: "正常计算 - 足够数据",
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klines: []Kline{
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{High: 102.0, Low: 100.0, Close: 101.0},
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{High: 103.0, Low: 101.0, Close: 102.0},
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{High: 104.0, Low: 102.0, Close: 103.0},
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{High: 105.0, Low: 103.0, Close: 104.0},
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{High: 106.0, Low: 104.0, Close: 105.0},
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{High: 107.0, Low: 105.0, Close: 106.0},
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{High: 108.0, Low: 106.0, Close: 107.0},
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{High: 109.0, Low: 107.0, Close: 108.0},
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{High: 110.0, Low: 108.0, Close: 109.0},
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{High: 111.0, Low: 109.0, Close: 110.0},
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{High: 112.0, Low: 110.0, Close: 111.0},
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{High: 113.0, Low: 111.0, Close: 112.0},
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{High: 114.0, Low: 112.0, Close: 113.0},
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{High: 115.0, Low: 113.0, Close: 114.0},
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{High: 116.0, Low: 114.0, Close: 115.0},
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},
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period: 14,
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expectZero: false,
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},
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{
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name: "数据不足 - 等于period",
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klines: []Kline{
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{High: 102.0, Low: 100.0, Close: 101.0},
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{High: 103.0, Low: 101.0, Close: 102.0},
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},
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period: 2,
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expectZero: true,
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},
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{
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name: "数据不足 - 少于period",
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klines: []Kline{
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{High: 102.0, Low: 100.0, Close: 101.0},
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},
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period: 14,
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expectZero: true,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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atr := calculateATR(tt.klines, tt.period)
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if tt.expectZero {
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if atr != 0 {
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t.Errorf("calculateATR() = %.3f, expected 0 (insufficient data)", atr)
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}
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} else {
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if atr <= 0 {
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t.Errorf("calculateATR() = %.3f, expected > 0", atr)
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}
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}
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})
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}
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}
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// TestCalculateATR_TrueRange 测试 ATR 的 True Range 计算正确性
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func TestCalculateATR_TrueRange(t *testing.T) {
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// 创建一个简单的测试用例，手动计算期望的 ATR
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klines := []Kline{
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{High: 50.0, Low: 48.0, Close: 49.0}, // TR = 2.0
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{High: 51.0, Low: 49.0, Close: 50.0}, // TR = max(2.0, 2.0, 1.0) = 2.0
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{High: 52.0, Low: 50.0, Close: 51.0}, // TR = max(2.0, 2.0, 1.0) = 2.0
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{High: 53.0, Low: 51.0, Close: 52.0}, // TR = 2.0
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{High: 54.0, Low: 52.0, Close: 53.0}, // TR = 2.0
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}
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atr := calculateATR(klines, 3)
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// 期望的计算：
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// TR[1] = max(51-49, |51-49|, |49-49|) = 2.0
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// TR[2] = max(52-50, |52-50|, |50-50|) = 2.0
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// TR[3] = max(53-51, |53-51|, |51-51|) = 2.0
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// 初始 ATR = (2.0 + 2.0 + 2.0) / 3 = 2.0
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// TR[4] = max(54-52, |54-52|, |52-52|) = 2.0
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// 平滑 ATR = (2.0*2 + 2.0) / 3 = 2.0
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expectedATR := 2.0
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tolerance := 0.01 // 允许小的浮点误差
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if math.Abs(atr-expectedATR) > tolerance {
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t.Errorf("calculateATR() = %.3f, want approximately %.3f", atr, expectedATR)
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}
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}
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// TestCalculateIntradaySeries_ConsistencyWithOtherIndicators 测试 Volume 和其他指标的一致性
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func TestCalculateIntradaySeries_ConsistencyWithOtherIndicators(t *testing.T) {
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klines := generateTestKlines(30)
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data := calculateIntradaySeries(klines)
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// 所有数组应该存在
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if data.MidPrices == nil {
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t.Error("MidPrices should not be nil")
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}
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if data.Volume == nil {
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t.Error("Volume should not be nil")
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}
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// MidPrices 和 Volume 应该有相同的长度（都是最近10个）
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if len(data.MidPrices) != len(data.Volume) {
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t.Errorf("MidPrices length (%d) should equal Volume length (%d)",
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len(data.MidPrices), len(data.Volume))
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}
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// 所有 Volume 值应该大于 0
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for i, vol := range data.Volume {
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if vol <= 0 {
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t.Errorf("Volume[%d] = %.2f, should be > 0", i, vol)
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}
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}
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}
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// TestCalculateIntradaySeries_EmptyKlines 测试空 K线数据
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func TestCalculateIntradaySeries_EmptyKlines(t *testing.T) {
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klines := []Kline{}
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data := calculateIntradaySeries(klines)
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if data == nil {
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t.Fatal("calculateIntradaySeries should not return nil for empty klines")
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}
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// 所有切片应该为空
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if len(data.MidPrices) != 0 {
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t.Errorf("MidPrices length = %d, want 0", len(data.MidPrices))
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}
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if len(data.Volume) != 0 {
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t.Errorf("Volume length = %d, want 0", len(data.Volume))
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}
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// ATR14 应该为 0（数据不足）
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if data.ATR14 != 0 {
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t.Errorf("ATR14 = %.3f, want 0", data.ATR14)
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}
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}
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// TestCalculateIntradaySeries_VolumePrecision 测试 Volume 精度保持
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func TestCalculateIntradaySeries_VolumePrecision(t *testing.T) {
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klines := []Kline{
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{Close: 100.0, Volume: 1234.5678, High: 101.0, Low: 99.0},
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{Close: 101.0, Volume: 9876.5432, High: 102.0, Low: 100.0},
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{Close: 102.0, Volume: 5555.1111, High: 103.0, Low: 101.0},
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}
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data := calculateIntradaySeries(klines)
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expectedVolumes := []float64{1234.5678, 9876.5432, 5555.1111}
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for i, expected := range expectedVolumes {
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if data.Volume[i] != expected {
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t.Errorf("Volume[%d] = %.4f, want %.4f (precision not preserved)",
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i, data.Volume[i], expected)
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}
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}
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}
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@@ -30,6 +30,8 @@ type IntradayData struct {
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MACDValues []float64
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RSI7Values []float64
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RSI14Values []float64
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Volume []float64
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ATR14 float64
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}
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// LongerTermData 长期数据(4小时时间框架)
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